Self-Regulatory Organizations

28264 Federal Register / Vol. 76, No. 94 / Monday, May 16, 2011 / Notices

SECURITIES AND EXCHANGE A. Self-Regulatory Organization’s Schedule to change references to COMMISSION Statement of the Purpose of, and ‘‘surcharge fee’’ and ‘‘license fee’’ to Statutory Basis for, the Proposed Rule Index License surcharge fee, and to [Release No. 34–64454; File No. SR–CBOE– Change clarify that Index License surcharge fees associated with dividend, merger and 2011–043] 1. Purpose short stock interest strategies (and not Self-Regulatory Organizations; The Exchange currently caps market- reversal, conversion and jelly roll maker and broker-dealer transaction fees Chicago Board Options Exchange, strategies) will be passed through to at $1,000 for all reversals,3 conversions 4 Incorporated; Notice of Filing and trading participants on these strategies and jelly roll 5 strategies executed on the Immediate Effectiveness of Proposed on a pro-rata basis. This is because same trading day in the same Flexible options classes subject to the Index Rule Change Relating to the Strategy Exchange (FLEX) option class, License surcharge fee are not included Fee Cap and Clarifications to the excluding any option class on which the under the fee cap for reversals, CBOE Fees Schedule Exchange charges the surcharge fee conversions and jelly rolls. Second, the under Footnote 14 of the CBOE Fees May 10, 2011. Exchange proposes to further amend Schedule.6 Such transaction fees are Footnote 13 by adding the definitions of Pursuant to Section 19(b)(1) of the further capped at $25,000 per month per reversal strategy, conversion strategy Securities Exchange Act of 1934 initiating member or firm. To qualify and jelly roll strategy.9 Third, the (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 transactions for the cap a rebate request Exchange proposes to amend Footnote notice is hereby given that, on April 28, with supporting documentation must be 10 of the Fees Schedule relating to the 2011, the Chicago Board Options submitted to the Exchange within 3 Liquidity Provider Sliding Scale to Exchange, Incorporated (the ‘‘Exchange’’ business days of the transactions. clarify that contract volume resulting or ‘‘CBOE’’) filed with the Securities and The Exchange proposes to amend from any of the strategies defined in Exchange Commission (‘‘Commission’’) Footnote 13 of the Fees Schedule to Footnote 13 (and not just dividend, the proposed rule change as described expand the fee cap for reversals, merger and short stock interest in Items I, II and III below, which Items conversions and jelly roll strategies to strategies) will not apply towards non-FLEX options classes. Thus, have been substantially prepared by the reaching the sliding scale volume reversals, conversions and jelly roll Exchange. The Commission is thresholds because such contracts have strategy transactions in non-FLEX publishing this notice to solicit already received the benefit of the options classes would also be eligible strategy fee cap.10 Finally, for the same comments on the proposed rule change for the fee cap, except that any option from interested persons. reason, the Exchange proposes to amend class on which the Exchange charges the Footnote 11 of the Fees Schedule I. Self-Regulatory Organization’s Index License surcharge fee under relating to the Multiply-Listed Option Statement of the Terms of Substance of Footnote 14 of the CBOE Fees Schedule Fee Cap and CBOE Proprietary Products the Proposed Rule Change would continue to be excluded from the Sliding Scale for Clearing Trading cap.7 Other exchanges also cap Permit Holder Proprietary Orders to Chicago Board Options Exchange, transaction fees resulting from reversals, clarify that transaction fees and contract Incorporated (‘‘CBOE’’ or ‘‘Exchange’’) conversions and jelly roll strategies in volume resulting from any of the proposes to amend its strategy fee cap non-FLEX options classes.8 strategies defined in Footnote 13 will program and clarify its Fees Schedule in In addition, the Exchange proposes not apply towards reaching the fee cap certain respects. The text of the several clarifying changes to the Fees and the sliding scale volume proposed rule change is available on the Schedule relating to the strategy fee cap thresholds.11 Exchange’s Web site (http:// program. First, the Exchange proposes The Exchange also proposes a clean- to amend Footnote 13 of the Fees www.cboe.org/legal), at the Exchange’s up change to the Fees Schedule. On Office of the Secretary and at the December 10, 2010, the Exchange filed 3 A reversal strategy is established by combining Commission. a proposed rule change to increase the a short security position with a short put and a long Options Regulatory Fee from $.004 per call position that shares the same strike and II. Self-Regulatory Organization’s expiration. Statement of the Purpose of, and 4 A conversion strategy is established by 9 Supra footnotes 1, 2, 3 and 4. Statutory Basis for, the Proposed Rule combining a long position in the underlying 10 The Commission notes that CBOE’s practice security with a long put and a short call position has been to not apply contract volume resulting Change that shares the same strike and expiration. from any of the strategies defined or identified in 5 A jelly roll strategy is created by entering into Footnote 13 (dividend, merger, short stock interest, In its filing with the Commission, two separate positions simultaneously. One reversals, conversions and jelly roll strategies) CBOE included statements concerning position involves buying a put and selling a call towards reaching the Liquidity Provider Sliding the purpose of and basis for the with the same strike price and expiration. The Scale volume thresholds. See e-mail from Jaime second position involves selling a put and buying Galvan, Assistant Secretary, CBOE, to Andrew proposed rule change and discussed any Madar, Senior Special Counsel, Division of Trading a call, with the same strike price, but a different and Markets (‘‘Division’’), Commission, dated May comments it received on the proposed expiration from the first position. 9, 2011. rule change. The text of these statements 6 See CBOE Fees Schedule, Footnote 13 and 11 The Commission notes that CBOE’s practice Securities Exchange Act Release No. 61915 (April may be examined at the places specified has been to not apply transaction fees and contract 15, 2010), 75 FR 21076 (April 22, 2010). In addition volume resulting from dividend, merger and short in Item IV below. CBOE has prepared to the fee cap for reversals, conversions and jelly summaries, set forth in sections A, B, stock interest strategies as defined in Footnote 13 rolls, Footnote 13 provides for a similar but separate towards reaching the Multiply-Listed Options Fee and C below, of the most significant fee cap for dividend, merger and short stock interest Cap and CBOE Proprietary Products Sliding Scale. aspects of such statements. strategies. See e-mail from Jaime Galvan, Assistant Secretary, 7 The Exchange recently renamed the surcharge CBOE, to Andrew Madar, Senior Special Counsel, fee under Footnote 14 of the Fees Schedule the Division, Commission, dated May 9, 2011. In ‘‘Index License surcharge fee’’. See Securities addition, the Multiply-Listed Options Fee Cap and Exchange Act Release No. 64304 (April 15, 2011), CBOE Proprietary Products Sliding Scale applies 77 FR 22427 (April 21, 2011). only to ‘‘firm’’ orders, which are not elibigle for the 1 15 U.S.C. 78s(b)(1). 8 See the options fee schedules of NYSE Amex, fee cap program for reversals, conversions and jelly 2 17 CFR 240.19b–4. LLC and NYSE Arca, LLC. rolls. Id.

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contract to $.0045 per contract.12 The III. Date of Effectiveness of the business days between the hours of 10 new ORF was to take effect on January Proposed Rule Change and Timing for a.m. and 3 p.m. Copies of the filing also 3, 2011, therefore the old ORF rate of Commission Action will be available for inspection and $.004 per contract was not removed The foregoing rule change has become copying at the principal office of the from Section 12(A) of the Fees Schedule effective pursuant to Section Exchange. All comments received will at that time. The Exchange proposes to 19(b)(3)(A)(ii) of the Act 16 and be posted without change; the delete the reference to the old rate of subparagraph (f)(2) of Rule 19b–4.17 At Commission does not edit personal $.004 per contract from Section 12(A) of any time within 60 days of the filing of identifying information from the Fees Schedule. the proposed rule change, the submissions. You should submit only information that you wish to make The proposed fee changes will take Commission summarily may temporarily suspend such rule change if available publicly. All submissions effect on May 2, 2011. it appears to the Commission that such should refer to File Number SR–CBOE– 2. Statutory Basis action is necessary or appropriate in the 2011–043 and should be submitted on public interest, for the protection of or before June 6, 2011. The Exchange believes the proposed investors, or otherwise in furtherance of For the Commission, by the Division of rule change is consistent with Section the purposes of the Act. Trading and Markets, pursuant to delegated 6(b) of the Securities Exchange Act of authority.18 IV. Solicitation of Comments 1934 (‘‘Act’’),13 in general, and furthers Cathy H. Ahn, the objectives of Section 6(b)(4) 14 of the Interested persons are invited to Deputy Secretary. submit written data, views, and Act in particular, in that it is designed [FR Doc. 2011–11838 Filed 5–13–11; 8:45 am] arguments concerning the foregoing, to provide for the equitable allocation of BILLING CODE 8011–01–P reasonable dues, fees, and other charges including whether the proposed rule among CBOE Trading Permit Holders change is consistent with the Act. and other persons using its facilities. Comments may be submitted by any of SECURITIES AND EXCHANGE the following methods: The Exchange believes the proposed COMMISSION rule change is equitable, reasonable and Electronic Comments not unfairly discriminatory in that it • Use the Commission’s Internet [Release No. 34–64456; File No. 4–629] would further lower fees for market comment form (http://www.sec.gov/ participants that trade these strategies rules/sro.shtml); or Solicitation of Comment To Assist in by expanding the fee cap for reversal, • Send an e-mail to rule- Study on Assigned Credit Ratings conversion and jelly roll strategies to [email protected]. Please include File AGENCY: Securities and Exchange Number SR–CBOE–2011–043 on the apply to all options classes traded on Commission. the Exchange except those which are subject line. ACTION: Request for comment. subject to the Index License surcharge Paper Comments fee. In addition, the proposed rule • SUMMARY: The Securities and Exchange change would allow the Exchange to Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Commission (‘‘Commission’’) requests remain competitive with other Securities and Exchange Commission, public comment to assist it in carrying exchanges that offer similar fee cap out a study on, among other matters, the 15 100 F Street, NE., Washington, DC programs. The proposed rule change 20549–1090. feasibility of establishing a system in would also clarify portions of the Fees All submissions should refer to File which a public or private utility or a Schedule relating to the strategy fee cap Number SR–CBOE–2011–043. This file self-regulatory organization (‘‘SRO’’) program and the Options Regulatory number should be included on the assigns nationally recognized statistical Fee. subject line if e-mail is used. To help the rating organizations (‘‘NRSROs’’) to B. Self-Regulatory Organization’s Commission process and review your determine credit ratings for structured Statement on Burden on Competition comments more efficiently, please use finance products. This study, and a only one method. The Commission will resulting report to Congress, are CBOE does not believe that the post all comments on the Commission’s required by Section 939F of the Dodd- proposed rule change will impose any Internet Web site (http://www.sec.gov/ Frank Wall Street Reform and Consumer burden on competition that is not rules/sro.shtml). Copies of the Protection Act of 2010 (the ‘‘Dodd-Frank necessary or appropriate in furtherance submission, all subsequent Act’’). of purposes of the Act. amendments, all written statements DATES: The Commission will accept with respect to the proposed rule comments on matters related to the C. Self-Regulatory Organization’s change that are filed with the study on or before September 13, 2011. Statement on Comments on the Commission, and all written Proposed Rule Change Received From communications relating to the ADDRESSES: Comments may be Members, Participants, or Others proposed rule change between the submitted by any of the following Commission and any person, other than methods: No written comments were solicited those that may be withheld from the Electronic Comments or received with respect to the proposed public in accordance with the • rule change. provisions of 5 U.S.C. 552, will be Use the Commission’s Internet available for Web site viewing and comment form (http://www.sec.gov/ rules/other.shtml); or 12 printing in the Commission’s Public See Securities Exchange Act Release No. 63524 • (December 10, 2010), 75 FR 78780 (December 16, Reference Room, 100 F Street, NE., Send an e-mail to rule- 2010). Washington, DC 20549, on official [email protected]. Please include File 13 15 U.S.C. 78f(b). Number 4–629 on the subject line. 14 15 U.S.C. 78f(b)(4). 16 15 U.S.C. 78s(b)(3)(a)(ii). 15 Supra footnote 6. 17 17 CFR 240.19b–4(f)(2). 18 17 CFR 200.30–3(a)(12).

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